Search results for " price"

Essays on financial stability: an analysis based on NUTS2 and NUTS3 data for Italy

The Market Price of Credit Risk and Economic States

2015

This paper proposes a market-wide credit risk factor for the US stock market and investigates its properties that are dependent on economic conditions. The market price of credit risk is found to be statistically significantly negative, supporting earlier studies. However, a sample-split analysis reveals that this negative pay-off is non-existent in a later subsample, indicating that the credit risk puzzle is based on temporary mispricing related to the earlier subsample. Further investigation shows that mispricing in the earlier period was mainly driven by positive pay-offs of low credit risk firms, while high credit risk firms did not generate significant returns in any of the sub-periods.

When the Blockchain Does Not Block: On Hackings and Uncertainty in the Cryptocurrency Market

2019

A total of 1.1 million bitcoin were stolen in the 2013–2017 period. Noting that the average price for Bitcoin in 2018 was USD 7,572 the corresponding monetary equivalent of losses is USD 8.9 billion which strongly shows the societal impact of this criminal activity. Investigating the response of the uncertainty of Bitcoin when hacking incidents occur, the results of this study point toward a delayed response in volatility. The volatility increases significantly only at day t+5. Incidents of hacking that occur in the Bitcoin market affect uncertainty for another cryptocurrency Ethereum too. Again, the evidence suggests a delayed response. However, Bitcoin and Ethereum do not exhibit asymmetr…

A Branch-Price-and-Cut Algorithm for the Min-Max k -Vehicle Windy Rural Postman Problem

2013

[EN] The min-max k -vehicles windy rural postman problem consists of minimizing the maximal distance traveled by a vehicle to find a set of balanced routes that jointly service all the required edges in a windy graph. This is a very difficult problem, for which a branch-and-cut algorithm has already been proposed, providing good results when the number of vehicles is small. In this article, we present a branch-price-and-cut method capable of obtaining optimal solutions for this problem when the number of vehicles is larger for the same set of required edges. Extensive computational results on instances from the literature are presented.

Weibull Model for Dynamic Pricing in e-Business

2011

As is the case with traditional markets, the sellers on the Internet do not usually know the demand functions of their customers. However, in such a digital environment, a seller can experiment different prices in order to maximize his profits. In this paper, we develop a dynamic pricing model to solve the pricing problem of a Web-store, where seller sets a fixed price and buyer either accepts or doesn’t buy. Frequent price changes occur due to current market conditions. The model is based on the two-parameter Weibull distribution (indexed by scale and shape parameters), which is used as the underlying distribution of a random variable X representing the amount of revenue received in the sp…

Martingale Convergence Theorems and Their Applications

2020

We became familiar with martingales X=(X n ) n∈N0 as fair games and found that under certain transformations (optional stopping, discrete stochastic integral) martingales turn into martingales. In this chapter, we will see that under weak conditions (non-negativity or uniform integrability) martingales converge almost surely. Furthermore, the martingale structure implies L p -convergence under assumptions that are (formally) weaker than those of Chapter 7. The basic ideas of this chapter are Doob’s inequality (Theorem 11.4) and the upcrossing inequality (Lemma 11.3).

In-Depth Analysis of Pricing Problem Relaxations for the Capacitated Arc-Routing Problem

2015

Recently, Bode and Irnich [Bode C, Irnich S (2012) Cut-first branch-and-price-second for the capacitated arc-routing problem. Oper. Res. 60(5):1167–1182] presented a cut-first branch-and-price-second algorithm for solving the capacitated arc-routing problem (CARP). The fundamental difference to other approaches for exactly solving the CARP is that the entire algorithm works directly on the typically sparse underlying graph representing the street network. This enables the use of highly efficient dynamic programming-based pricing algorithms to solve the column-generation subproblem also known as the pricing problem. The contribution of this paper is the in-depth analysis of the CARP pricing…

Effective Handling of Dynamic Time Windows and Its Application to Solving the Dial-a-Ride Problem

2015

A dynamic time window relates to two operations that must be executed within a given time meaning that the difference between the points in time when the two operations are performed is bounded from above. The most prevalent context of dynamic time windows is when precedence is given for the two operations so that it is a priori specified that one operation must take place before the other. A prominent vehicle routing problem with dynamic time windows and precedence is the dial-a-ride problem (DARP), where user-specified transportation requests from origin to destination points must be serviced. The paper presents a new branch-and-cut-and-price solution approach for the DARP, the prototypi…

On the Asymmetric Recognition of Good and Bad News in France, Germany and the United Kingdom

2001

We investigate whether accounting systems recognise bad news more promptly in earnings than good news, where news is proxied by changes in share price. The analysis is based on a sample of firm/years drawn from France, Germany, and the UK during 1990 to 1998. These three countries are the originators of three distinct legal traditions. Previous studies have argued that asymmetric recognition, one manifestation of conservative accounting, is sensitive to legal background and history. We find that in all three countries the contemporaneous association between earnings and returns is much stronger for bad news (i.e. when price changes are negative) than for good news, and although the results …

Factor Momentum, Investor Sentiment, and Option-Implied Volatility-Scaling

2020

Factor momentum produces robust average returns that exhibit a similar economic magnitude as documented for stock price momentum. To the extent that the PEAD factor captures mispricing, winner factors profit from being long on underpriced stocks and short on overpriced stocks. Oppositely, loser factors’ negative exposure to the PEAD factor suggests that loser factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility scaling increases both the economic magnitude and statistical significance of factor momentum. Factor momentum is not exposed to the same crashes as stock price momentum and could therefore serve as a hedge for stock…